Mark to market value at risk
Mark to market value at risk is a scholarly work, published in 2019 in ''Journal of Econometrics''. The main subjects of the publication include financial risk management, financial institution, risk measure, portfolio, Basel II, econometrics, credit risk, Dynamic risk measure, financial risk, asset, value at risk, asset pricing, economics, actuarial science, computer science, capital requirement, market risk, risk management, economic capital, insurance, and risk management tool. The authors propose a new risk measure termed mark to market value at risk (MMVaR) for settlement being taken daily during the holding period.